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<SEC-DOCUMENT>0000928816-10-000095.txt : 20100128
<SEC-HEADER>0000928816-10-000095.hdr.sgml : 20100128
<ACCEPTANCE-DATETIME>20100128144428
ACCESSION NUMBER:		0000928816-10-000095
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20091130
FILED AS OF DATE:		20100128
DATE AS OF CHANGE:		20100128
EFFECTIVENESS DATE:		20100128

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PUTNAM HIGH INCOME SECURITIES FUND
		CENTRAL INDEX KEY:			0000810943
		IRS NUMBER:				046562068
		STATE OF INCORPORATION:			MA
		FISCAL YEAR END:			0831

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-05133
		FILM NUMBER:		10553499

	BUSINESS ADDRESS:	
		STREET 1:		ONE POST OFFICE SQ
		STREET 2:		MAILSTOP A 14
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109
		BUSINESS PHONE:		8002251581

	MAIL ADDRESS:	
		STREET 1:		PUTNAM LLC
		STREET 2:		ONE POST OFFICE SQ
		CITY:			BOSTON
		STATE:			MA
		ZIP:			02109

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	PUTNAM HIGH INCOME BOND FUND
		DATE OF NAME CHANGE:	20030408

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	PUTNAM HIGH BOND FUND
		DATE OF NAME CHANGE:	20021107

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	PUTNAM HIGH INCOME CONVERTIBLE & BOND FUND
		DATE OF NAME CHANGE:	19920703
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>a_highincomesec.htm
<DESCRIPTION>PUTNAM HIGH INCOME SECURITIES FUND
<TEXT>
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     <TD colSpan=3 align=center><FONT size=2 face=sans-serif>UNITED STATES</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=center><FONT size=2 face=sans-serif>SECURITIES AND EXCHANGE COMMISSION</FONT></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=center><FONT size=2 face=sans-serif>Washington, D.C. 20549</FONT></TD></TR>
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     <TD colSpan=3 align=center>&nbsp;</TD></TR>
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     <TD colSpan=3 align=center><B><FONT size=2 face=sans-serif>FORM N-Q</FONT></B></TD></TR>
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     <TD colSpan=3 noWrap align=center>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=center><B><FONT size=2 face=sans-serif>QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT</FONT></B>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 align=center><B><FONT size=2 face=sans-serif>INVESTMENT COMPANY</FONT></B></TD></TR>
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     <TD colSpan=2 noWrap align=left>&nbsp;</TD>
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     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Investment Company Act file number: (811-</FONT><FONT size=2 face=sans-serif>05133</FONT><FONT size=2 face=sans-serif>)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Exact name of registrant as specified in charter:</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam High Income Securities Fund</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD colSpan=3 noWrap align=left>&nbsp;</TD></TR>
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     <TD colSpan=3 noWrap align=left><FONT size=2 face=sans-serif>Address of principal executive offices: One Post Office Square, Boston, Massachusetts 02109</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left></TD></TR>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Name and address of agent for service:</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Beth S. Mazor, Vice President</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>One Post Office Square</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Boston, Massachusetts 02109</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left></TD></TR>
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     <TD noWrap align=center><FONT size=2 face=sans-serif>Copy to:</FONT>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>John W. Gerstmayr, Esq.</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Ropes &amp; Gray LLP</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>One International Place</FONT>&nbsp;</TD></TR>
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     <TD noWrap align=left>&nbsp;</TD>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Boston, Massachusetts 02110</FONT>&nbsp;</TD></TR>
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     <TD colSpan=2 noWrap align=left>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Registrant&#146;s telephone number, including area code:</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(617) 292-1000</FONT>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Date of fiscal year end: </FONT><FONT size=2 face=sans-serif>August 31, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
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     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>Date of reporting period: November 30, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><U><FONT size=2 face=sans-serif>Item 1. Schedule of Investments:</FONT></U></P>
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     <TD noWrap align=left><FONT size=5 face=sans-serif>Putnam High Income Securities Fund</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
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<TR>
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     <TD noWrap align=left><FONT face=sans-serif>The fund's portfolio</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
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     <TD noWrap align=left><FONT size=2 face=sans-serif>11/30/09 (Unaudited)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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<TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CORPORATE BONDS AND NOTES (42.6%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
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<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
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     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Advertising and marketing services (0.1%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lamar Media Corp. company guaranty 7 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$98,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lamar Media Corp. company guaranty sr. notes 9 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>161,798</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,551</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>140,701</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Automotive (1.4%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinia Group, Inc. 144A sr. notes 10 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Allison Transmission, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 11 1/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,500</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ford Motor Credit Co., LLC sr. notes 9 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>154,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ford Motor Credit Co., LLC sr. notes 7 1/4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>625,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>623,889</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ford Motor Credit Co., LLC sr. unsec. notes 9 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2010</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>179,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>183,923</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Navistar International Corp. sr. notes 8 1/4s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>147,563</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenneco Automotive, Inc. sec. notes Ser. B, 10 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>59,595</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TRW Automotive, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes Ser. REGS, 6 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,946</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TRW Automotive, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>222,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TRW Automotive, Inc. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 6 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>107,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TRW Automotive, Inc. 144A sr. notes 8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,069</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,787,876</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Basic materials (3.9%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aleris International, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9s, 2014 (In default) (NON)(PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aleris International, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 10s, 2016 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>169</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Associated Materials, Inc. company guaranty 9 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>310,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>315,038</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Associated Materials, LLC/Associated Materials</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Finance, Inc. 144A sr. sec. notes 9 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>73,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Builders FirstSource, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRN 4.523s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clondalkin Acquisition BV 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes FRN 2.299s, 2013 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Compass Minerals International, Inc. 144A sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freeport-McMoRan Copper &amp; Gold, Inc. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>590,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>635,674</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Georgia-Pacific, LLC sr. unsec. unsub. notes 9 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2011</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>221,913</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Graphic Packaging International, Inc. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. unsec. unsub. notes FRN 9 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HeidelbergCement AG company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8s, 2017 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>59,792</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HeidelbergCement AG company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 7 1/2s, 2014 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,562</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HeidelbergCement AG company guaranty unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 1/2s, 2019 (Germany)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,128</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hexion U.S. Finance Corp./Hexion Nova Scotia Finance,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ULC company guaranty 9 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>91,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Huntsman International, LLC company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes Ser. REGS, 6 7/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Paper Co. sr. unsec. notes 9 3/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jefferson Smurfit Corp. company guaranty 8 1/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Metals USA, Inc. company guaranty sr. notes 11 1/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,488</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Momentive Performance Materials, Inc. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. unsec. notes 9 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>152,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nalco Co. 144A sr. notes 8 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,213</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NewPage Corp. 144A sr. sec. notes 11 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NewPage Holding Corp. sr. unsec. unsub. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7.564s, 2013 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,675</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,502</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Norske Skog Canada, Ltd. company guaranty Ser. D,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 5/8s, 2011 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,513</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Novelis, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Novelis, Inc. 144A sr. unsec. notes 11 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014 (Austria)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>89,011</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rhodia SA sr. unsec. notes FRN Ser. REGS, 3.492s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(France)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>217,055</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rockwood Specialties Group, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes 7 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>143,117</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit Kappa Acquisition 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 7 3/4s, 2019 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>74,002</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit Kappa Funding PLC sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2015 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>229,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit-Stone Container Corp. sr. notes unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 3/8s, 2012 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>74,813</FONT>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Solutia, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>41,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 7 3/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 6 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, Inc. 144A sr. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teck Resources, Ltd. sr. notes 10 3/4s, 2019 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teck Resources, Ltd. sr. notes 10 1/4s, 2016 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>209,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teck Resources, Ltd. sr. notes 9 3/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Terra Capital, Inc. 144A sr. notes 7 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tube City IMS Corp. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. sec. notes FRN Ser. B, 4.031s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>52,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. sub. notes Ser. B, 9 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 11 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>81,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>5,013,993</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Broadcasting (1.0%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clear Channel Communications, Inc. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7.65s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DIRECTV Holdings, LLC company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 6 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>246,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DISH DBS Corp. 144A sr. notes 7 7/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>166,238</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Echostar DBS Corp. company guaranty 7 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>168,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>67,031</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Umbrella Acquisition, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. unsub. notes 9 3/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>194,712</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,283</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Univision Communications, Inc. 144A sr. sec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>114,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>XM Satellite Radio, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 13s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>240,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>249,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>XM Satellite Radio, Inc. 144A sr. notes 11 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,249,165</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Building materials (0.5%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Building Materials Corp. company guaranty notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>232,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Owens Corning, Inc. company guaranty unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>186,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>THL Buildco, Inc. (Nortek Holdings, Inc.) company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. notes 10s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>THL Buildco, Inc. (Nortek Holdings, Inc.) sr. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 1/2s, 2014 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>132,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>586,950</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Capital goods (2.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ACCO Brands Corp. 144A company guaranty sr. sec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Altra Holdings, Inc. 144A sr. notes 8 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>BBC Holding Corp. sr. notes 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>BE Aerospace, Inc. sr. unsec. unsub. notes 8 1/2s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Berry Plastics Escrow Corp. 144A sr. notes 8 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>68,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Berry Plastics Holding Corp. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes 10 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,619</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Crown Americas, LLC/Crown Americas Capital Corp. sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 7 5/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,819</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>General Cable Corp. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes FRN 2.665s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>236,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Graham Packaging Co., Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hawker Beechcraft Acquisition Co., LLC sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>62,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>L-3 Communications Corp. company guaranty Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>172,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>L-3 Communications Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 5 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>339,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mueller Water Products, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 7 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Owens-Brockway Glass Container, Inc. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,702</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>RBS Global, Inc./Rexnord Corp. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. unsub. notes 9 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>134,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ryerson Tull, Inc. company guaranty sr. sec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>167,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Spirit Aerosystems Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>93,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TD Funding Corp. 144A company guaranty sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Titan International, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>219,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Transdigm, Inc. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>182,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Triumph Group, Inc. 144A sr. sub. notes 8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,900,244</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Commercial and consumer services (0.6%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Aramark Corp. company guaranty 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Corrections Corporation of America company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. notes 7 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,250</FONT>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lender Processing Services, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. unsub. notes 8 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Travelport LLC company guaranty 11 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Travelport LLC company guaranty 9 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>751,550</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Communication services (5.0%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Adelphia Communications Corp. escrow bonds zero %, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Adelphia Communications Corp. escrow bonds zero %,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2009</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Atlantic Broadband Finance, LLC company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,156</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cablevision Systems Corp. 144A sr. notes 8 5/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CC Holdings GS V, LLC/Crown Castle GS III Corp. 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. sec. notes 7 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,588</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CCH II, LLC sr. unsec. notes 10 1/4s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CCH II, LLC sr. unsec. notes Ser. B, 10 1/4s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>403,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CCO Holdings LLC/CCO Holdings Capital Corp. sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 3/4s, 2013 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clearwire Communications, LLC/Clearwire Finance, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>144A company guaranty sr. notes 12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>157,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Clearwire Communications, LLC/Clearwire Finance, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>144A company guaranty sr. notes 12s, 2015 (FWC)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cricket Communications, Inc. company guaranty 9 3/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>206,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cricket Communications, Inc. 144A sr. sec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CSC Holdings, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,845</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Digicel Group, Ltd. 144A sr. notes 8 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(Jamaica)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Digicel Group, Ltd. 144A sr. unsec. notes 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(Jamaica)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Frontier Communications Corp. sr. unsec. notes 8 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,238</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Frontier Communications Corp. sr. unsec. notes 8 1/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2018</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GIC, Inc. 144A sr. notes 8 5/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Global Crossing, Ltd. 144A sr. sec. notes 12s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Inmarsat Finance PLC 144A company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/8s, 2017 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Bermuda, Ltd. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 11 1/4s, 2016 (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>263,069</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Bermuda, Ltd. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 11 1/4s, 2017 (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>575,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>569,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Intelsat Intermediate Holding Co., Ltd. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. unsec. notes stepped-coupon zero %</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(9 1/4s, 2/1/10), 2015 (Bermuda) (STP)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>iPCS, Inc. company guaranty sr. notes FRN 2.406s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Level 3 Financing, Inc. company guaranty 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>176,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Level 3 Financing, Inc. company guaranty 8 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mediacom Broadband, LLC/Mediacom Broadband Corp. sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. unsub. notes 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mediacom LLC/Mediacom Capital Corp. 144A sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9 1/8s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MetroPCS Wireless, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>370,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>370,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nextel Communications, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes Ser. D, 7 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>255,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NII Capital Corp. 144A company guaranty sr. notes 10s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PAETEC Holding Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 9 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>185,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>172,281</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Communications International, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty 7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. notes 7 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>92,025</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>238,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Corp. 144A sr. unsec. notes 8 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>36,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SBA Telecommunications, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 1/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SBA Telecommunications, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>149,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sprint Capital Corp. company guaranty 6 7/8s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>243,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sprint Nextel Corp. sr. notes 8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Time Warner Telecom, Inc. company guaranty 9 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>107,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Valor Telecommunications Enterprises LLC/Finance Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>company guaranty sr. unsec. unsub. notes 7 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>West Corp. company guaranty 9 1/2s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>263,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wind Acquisition Finance SA 144A sr. notes 11 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2017 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wind Acquisition Finance SA 144A sr. notes 11 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2017 (Netherlands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Windstream Corp. company guaranty 8 5/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$255,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>256,913</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Windstream Corp. company guaranty 8 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,063</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>6,498,107</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer (0.7%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. company guaranty sr. unsec. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>51,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Jarden Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>280,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>277,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Visant Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 5/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>201,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Yankee Acquisition Corp. company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. B, 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>316,875</FONT>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 width=80% cellspacing=0>
<TR>
     <TD width=70%></TD>
     <TD width=15%></TD>
     <TD width=15%></TD></TR>
<TR valign="bottom">
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=right nowrap> <B><FONT size=2 face="sans-serif">846,575</FONT></B>&nbsp;</TD> </TR>
<TR>
     <TD colspan=3>
<HR noshade size=1>
</TD> </TR>
<TR>
     <TD colspan=3> &nbsp;</TD> </TR>
<TR>
     <TD colspan=3> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <B><FONT size=2 face="sans-serif">Consumer staples (1.9%)</FONT></B>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Avis Budget Car Rental, LLC company guaranty sr.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">unsec. unsub. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">150,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">134,250</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Avis Budget Car Rental, LLC company guaranty sr.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">unsec. unsub. notes 7 5/8s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">100,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">92,000</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Chiquita Brands International, Inc. sr. notes 7 1/2s,</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">140,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">137,200</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Chiquita Brands International, Inc. sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">notes 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">30,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">30,450</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Constellation Brands, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">unsub. notes 7 1/4s, 2016</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">245,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">248,063</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Dole Food Co. 144A sr. sec. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">65,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">65,650</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Dole Food Co. 144A sr. unsec. notes 13 7/8s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">94,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">110,450</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Elizabeth Arden, Inc. company guaranty 7 3/4s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">155,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">150,350</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Great Atlantic &amp; Pacific Tea Co. 144A sr. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">11 3/8s, 2015</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">60,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">62,400</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">JBS USA LLC/JBS USA Finance, Inc. 144A sr. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">11 5/8s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">60,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">66,675</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Prestige Brands, Inc. sr. sub. notes 9 1/4s, 2012</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">51,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">51,638</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Revlon Consumer Products 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">65,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">65,731</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Rite Aid Corp. company guaranty 9 1/2s, 2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">210,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">172,725</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Rite Aid Corp. sec. notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">65,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">58,825</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Rite Aid Corp. 144A sr. notes 10 1/4s, 2019</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">40,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">40,700</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">RSC Equipment Rental, Inc. 144A sr. sec. notes 10s,</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">100,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">107,750</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Smithfield Foods, Inc. 144A sr. sec. notes 10s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">130,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">136,175</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Spectrum Brands, Inc. sr. unsec. sub. bonds 12s, 2019</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">(PIK)</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">75,843</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">72,051</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Supervalu, Inc. sr. unsec. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">85,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">86,700</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">305,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">344,650</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Wendy's/Arby's Restaurants LLC 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">10s, 2016</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">225,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">243,000</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=right nowrap> <B><FONT size=2 face="sans-serif">2,477,433</FONT></B>&nbsp;</TD> </TR>
<TR>
     <TD colspan=3>
<HR noshade size=1>
</TD> </TR>
<TR>
     <TD colspan=3> &nbsp;</TD> </TR>
<TR>
     <TD colspan=3> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <B><FONT size=2 face="sans-serif">Energy (5.7%)</FONT></B>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Arch Western Finance, LLC company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">6 3/4s, 2013</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">445,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">442,775</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Chaparral Energy, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">notes 8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">155,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">137,175</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Chesapeake Energy Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">notes 9 1/2s, 2015</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">35,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">36,663</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Chesapeake Energy Corp. sr. notes 7 1/2s, 2013</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">245,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">247,450</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Cloud Peak Energy Resources, LLC/Cloud Peak Energy</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Finance Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">8 1/2s, 2019</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">50,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">49,500</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Cloud Peak Energy Resources, LLC/Cloud Peak Energy</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Finance Corp. 144A company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">8 1/4s, 2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">50,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">49,250</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Complete Production Services, Inc. company guaranty</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">8s, 2016</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">100,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">98,000</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Compton Petroleum Corp. company guaranty 7 5/8s, 2013</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">(Canada)</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">235,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">175,075</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Comstock Resources, Inc. company guaranty sr. unsub.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">notes 8 3/8s, 2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">120,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">120,600</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Comstock Resources, Inc. sr. notes 6 7/8s, 2012</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">120,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">120,000</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s,</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">2015 (Canada)</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">300,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">259,500</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Connacher Oil and Gas, Ltd. 144A sr. sec. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">11 3/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">15,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">16,350</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Denbury Resources, Inc. sr. sub. notes 7 1/2s, 2015</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">345,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">342,413</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Encore Acquisition Co. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">sub. bond 7 1/4s, 2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">5,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">5,000</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Encore Acquisition Co. sr. sub. notes 6s, 2015</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">213,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">212,468</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Ferrellgas LP/Finance sr. notes 8 3/4s, 2012</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">230,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">230,575</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Ferrellgas LP/Finance sr. notes 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">155,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">148,800</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Ferrellgas Partners LP sr. unsec. notes Ser. UNRE,</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">15,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">14,400</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Forest Oil Corp. sr. notes 8s, 2011</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">185,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">190,088</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Helix Energy Solutions Group, Inc. 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">notes 9 1/2s, 2016</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">345,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">349,313</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Hercules Offshore, Inc. 144A sr. notes 10 1/2s, 2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">60,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">60,600</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Hilcorp Energy I LP/Hilcorp Finance Co. 144A sr.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">unsec. notes 7 3/4s, 2015</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">320,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">308,000</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Key Energy Services, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">unsub. notes 8 3/8s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">330,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">322,163</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Newfield Exploration Co. sr. unsec. sub. notes 7 1/8s,</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">2018</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">90,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">89,775</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s,</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">210,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">208,425</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">OPTI Canada, Inc. company guaranty sr. sec. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">8 1/4s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">50,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">40,000</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">OPTI Canada, Inc. company guaranty sr. sec. notes</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">7 7/8s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">120,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">95,400</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">OPTI Canada, Inc. 144A sr. notes 9s, 2012 (Canada)</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">140,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">139,650</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Peabody Energy Corp. company guaranty 7 3/8s, 2016</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">270,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">273,375</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">PetroHawk Energy Corp. company guaranty 9 1/8s, 2013</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">85,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">88,188</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">PetroHawk Energy Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">notes 10 1/2s, 2014</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">135,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">146,138</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Petroleum Development Corp. company guaranty sr.</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">unsec. notes 12s, 2018</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">265,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">267,650</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Plains Exploration &amp; Production Co. company guaranty</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">7 3/4s, 2015</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">75,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">74,250</FONT>&nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">Plains Exploration &amp; Production Co. company guaranty</FONT>&nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD>
     <TD align=left nowrap> &nbsp;</TD> </TR>
<TR valign="bottom">
     <TD align=left nowrap> <FONT size=2 face="sans-serif">7s, 2017</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">375,000</FONT>&nbsp;</TD>
     <TD align=right nowrap> <FONT size=2 face="sans-serif">356,250</FONT>&nbsp;</TD> </TR> </TABLE><BR>
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<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pride International, Inc. sr. unsec. notes 7 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>272,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Quicksilver Resources, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 8 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Quicksilver Resources, Inc. sr. notes 11 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Range Resources Corp. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 7 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,263</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sabine Pass LNG LP sec. notes 7 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>285,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>236,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SandRidge Energy, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. FRN 3.915s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,431</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SandRidge Energy, Inc. 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. unsub. notes 8s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>230,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>216,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stallion Oilfield Services/Stallion Oilfield Finance</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Corp. 144A sr. unsec. notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Targa Resources, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>410,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>401,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Whiting Petroleum Corp. company guaranty 7s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Williams Cos., Inc. (The) sr. unsec. notes 8 1/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,404</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Williams Cos., Inc. (The) sr. unsec. notes 7 7/8s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>172,959</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>7,441,129</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Entertainment (0.5%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AMC Entertainment, Inc. company guaranty 11s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,080</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cinemark, Inc. 144A company guaranty sr. notes 8 5/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>87,550</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hertz Corp. company guaranty 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>341,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Marquee Holdings, Inc. sr. disc. notes 12s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Universal City Development Partners, Ltd. 144A sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>48,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Universal City Development Partners, Ltd. 144A sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 10 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,088</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>711,943</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Financials (2.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American General Finance Corp. sr. unsec. notes Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>J, MTN, 5 5/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113,528</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American General Finance Corp. sr. unsec. notes Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MTNH, 4 5/8s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,820</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American General Finance Corp. sr. unsec. notes Ser.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MTNI, 4 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>129,223</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CB Richard Ellis Services, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes 11 5/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>171,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. unsec. notes 7 5/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,810</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CIT Group, Inc. sr. unsec. unsub. notes 5.65s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>52,727</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>E*Trade Financial Corp. sr. unsec. notes 7 3/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>E*Trade Financial Corp. sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12 1/2s, 2017 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>129,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FelCor Lodging LP 144A sr. sec. notes 10s, 2014 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC sr. unsec. unsub. notes 7 3/4s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,964</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC sr. unsec. unsub. notes 7 1/4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>122,051</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC sr. unsec. unsub. notes 6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>33,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC 144A company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 7s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>522,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>497,205</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC 144A company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>153,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>136,935</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC 144A company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 6 5/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,270</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, LLC 144A company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes FRN 2.561s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HUB International Holdings, Inc. 144A sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HUB International Holdings, Inc. 144A sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 9s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>iStar Financial, Inc. sr. unsec. unsub. notes 8 5/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2013 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>52,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>iStar Financial, Inc. sr. unsec. unsub. notes 5.65s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2011 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>iStar Financial, Inc. sr. unsec. unsub. notes Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.95s, 2013 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Leucadia National Corp. sr. unsec. notes 8 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>174,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>163,343</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Reynolds Group DL Escrow, Inc./Reynolds Group Escrow,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>LLC 144A sr. sec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>116,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SLM Corp. sr. unsec. unsub. notes Ser. MTNA, 5s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,560</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>USI Holdings Corp. 144A company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes FRN 4.148s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,805,417</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Gaming and lottery (1.6%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Casino &amp; Entertainment Properties LLC 144A</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. notes 11s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>94,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Boyd Gaming Corp. sr. sub. notes 7 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Boyd Gaming Corp. sr. sub. notes 6 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrah's Operating Co., Inc. company guaranty sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes Ser. A144, 10s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>387,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>294,120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrah's Operating Co., Inc. 144A sr. sec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harrahs Operating Escrow, LLC/Harrahs Escrow Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>144A sr. sec. notes 11 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mashantucket Western Pequot Tribe 144A bonds 8 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>48,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGM Mirage, Inc. company guaranty 6 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,638</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGM Mirage, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 5/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,200</FONT>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
<!--$$/page=-->
<A name="page_6"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGM Mirage, Inc. sr. notes 6 3/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,705</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MGM Mirage, Inc. 144A sr. sec. notes 10 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>21,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>MTR Gaming Group, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Penn National Gaming, Inc. company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 7/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Penn National Gaming, Inc. 144A sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Entertainment, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes 7 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Entertainment, Inc. sr. sub. notes 8 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pinnacle Entertainment, Inc. 144A sr. notes 8 5/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Station Casinos, Inc. sr. notes 6s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>189,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>39,690</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Trump Entertainment Resorts, Inc. sec. notes 8 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015 (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 1st</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>mtge. Ser. EXCH, 6 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>86,175</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>208,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,014,966</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Health care (4.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Biomet, Inc. company guaranty sr. unsec. bond 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>232,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Community Health Systems, Inc. company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>147,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Coventry Health Care, Inc. sr. unsec. notes 6.3s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>162,616</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Coventry Health Care, Inc. sr. unsec. notes 5.95s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,658</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>DaVita, Inc. company guaranty 6 5/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>290,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>287,825</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Elan Finance PLC/Elan Finance Corp. 144A company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. notes 8 3/4s, 2016 (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>151,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fresenius US Finance II, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. company guaranty sr. notes 9 5/8s, 2016 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>202,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>215,383</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. sr. notes 6.95s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. sr. sec. notes 9 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>375,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. sr. sec. notes 9 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>151,525</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. 144A sr. sec. notes 9 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>48,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>HCA, Inc. 144A sr. sec. notes 8 1/2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>142,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Health Management Associates, Inc. sr. notes 6 1/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>224,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Healthsouth Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRN 7.218s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>IASIS Healthcare/IASIS Capital Corp. sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 3/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>355,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>361,213</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Omnicare, Inc. company guaranty 6 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Omnicare, Inc. sr. sub. notes 6 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>150,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Psychiatric Solutions, Inc. company guaranty 7 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>375,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>361,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Psychiatric Solutions, Inc. 144A sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>38,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Select Medical Corp. company guaranty 7 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>239,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Service Corporation International sr. notes 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>62,725</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Service Corporation International sr. unsec. 7 3/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>124,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stewart Enterprises, Inc. sr. notes 6 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>340,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>330,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sun Healthcare Group, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 9 1/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>330,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>331,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>69,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Surgical Care Affiliates, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 7/8s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>277,753</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>241,645</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Talecris Biotherapeutics Holdings Corp. 144A sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenet Healthcare Corp. 144A company guaranty sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tenet Healthcare Corp. 144A company guaranty sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>220,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>232,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United Surgical Partners International, Inc. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. unsec. sub. notes 8 7/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>265,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>270,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>US Oncology Holdings, Inc. sr. unsec. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6.428s, 2012 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>101,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vanguard Health Holding Co. II, LLC sr. sub. notes 9s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>325,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>334,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ventas Realty LP/Capital Corp. company guaranty 9s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2012 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>280,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>293,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ventas Realty LP/Capital Corp. sr. notes 6 5/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>49,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ventas Realty LP/Capital Corp. sr. notes 6 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>6,278,455</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Homebuilding (1.0%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Beazer Homes USA, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8 3/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fleetwood Enterprises, Inc. company guaranty sr. sec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 14s, 2011 (In default) (F)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,442,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>865,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>K. Hovnanian Enterprises, Inc. 144A sr. notes 10 5/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>112,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Meritage Homes Corp. company guaranty 6 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Meritage Homes Corp. sr. notes 7s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>33,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Standard Pacific Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 7s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,188</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Standard Pacific Escrow, LLC 144A sr. notes 10 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,350</FONT>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_7"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="61%"></TD>
     <TD width="8%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,361,788</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Household furniture and appliances (0.1%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sealy Mattress Co. 144A company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>126,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>126,500</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Lodging/Tourism (0.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Host Marriott LP sr. notes 7 1/8s, 2013 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Host Marriott LP sr. notes Ser. M, 7s, 2012 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Seminole Hard Rock Entertainment, Inc. 144A sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRN 2.799s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>315,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>258,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>443,213</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Media (1.1%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinion Group, Inc. company guaranty 11 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinion Group, Inc. company guaranty 10 1/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>107,100</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Affinity Group, Inc. sr. sub. notes 9s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interpublic Group of Companies, Inc. (The) sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty 10s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nielsen Finance LLC/Nielsen Finance Co. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. unsec. sub. disc. notes stepped-coupon</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>zero % (12 1/2s, 8/1/11), 2016 (STP)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>166,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>QVC Inc. 144A sr. sec. notes 7 1/2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media Finance PLC company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. 1, 9 1/2s, 2016 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>175,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>183,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media Finance PLC company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes Ser. $, 8 3/4s, 2014 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media Finance PLC company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 9 1/2s, 2016 (United Kingdom)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>50,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>79,634</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>WMG Acquisition Corp. company guaranty sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>57,150</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>WMG Acquisition Corp. 144A sr. sec. notes 9 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>166,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>WMG Holdings Corp. company guaranty sr. unsec. disc.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes stepped-coupon zero % (9 1/2s, 12/15/09), 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(STP)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,963</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,382,685</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Publishing (0.1%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Media Operations, Inc. 144A sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>14s, 2013 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>209,943</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>128,065</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Media Operations, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9s, 2013 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>17,289</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>10,546</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Belo Corp. sr. unsec. unsub. notes 8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,225</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>168,836</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Retail (1.4%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bon-Ton Stores, Inc. (The) company guaranty 10 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>126,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Burlington Coat Factory Warehouse Corp. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. unsec. notes 11 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>160,425</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dollar General Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10 5/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>140,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>152,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Federated Retail Holdings, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 5.9s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harry &amp; David Operations Corp. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 9s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>81,650</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Harry &amp; David Operations Corp. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes FRN 5.361s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Michaels Stores, Inc. company guaranty 11 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>223,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Michaels Stores, Inc. company guaranty 10s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>71,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Neiman-Marcus Group, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 9s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>510,587</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,805</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Neiman-Marcus Group, Inc. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 10 3/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,663</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Toys R Us Property Co., LLC 144A company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 10 3/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>195,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>208,163</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Toys R Us Property Co., LLC 144A sr. notes 8 1/2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>109,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United Auto Group, Inc. company guaranty 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>91,913</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,881,232</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=4>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Technology (2.5%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Advanced Micro Devices, Inc. 144A sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8 1/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,219</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Amkor Technologies, Inc. sr. notes 7 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>43,780</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Avago Technologies Finance company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 11 7/8s, 2015 (Singapore)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>115,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,925</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ceridian Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12 1/4s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>188,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ceridian Corp. sr. unsec. notes 11 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>62,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>208,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10.55s, 2015 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>368,462</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>307,666</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data Corp. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9 7/8s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>218,050</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>First Data Corp. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 11 1/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>155,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>127,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 9 1/8s, 2014 (PIK)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>130,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>105,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>145,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freescale Semiconductor, Inc. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. sub. notes 10 1/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>159,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>111,698</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Iron Mountain, Inc. company guaranty 8 3/4s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,538</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Iron Mountain, Inc. company guaranty sr. unsec. sub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>76,688</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lucent Technologies, Inc. unsec. debs. 6.45s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>19,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>New ASAT Finance, Ltd. company guaranty 9 1/4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(Cayman Islands) (In default) (F)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sanmina Corp. company guaranty sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Seagate Technology International 144A company guaranty</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sr. sec. notes 10s, 2014 (Cayman Islands)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,575</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SunGard Data Systems, Inc. company guaranty 10 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>156,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>159,900</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SunGard Data Systems, Inc. company guaranty 9 1/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>368,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>373,520</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Syniverse Technologies, Inc. sr. sub. notes Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>280,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>272,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Unisys Corp. 144A company guaranty sr. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>14 1/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>190,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>213,275</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Xerox Capital Trust I company guaranty 8s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,300</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,309,072</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Textiles (0.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hanesbrands, Inc. company guaranty sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FRN Ser. B, 4.593s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>250,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Levi Strauss &amp; Co. sr. unsec. notes 8 7/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Levi Strauss &amp; Co. sr. unsec. unsub. notes 9 3/4s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>118,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,605</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>431,830</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Tire and rubber (0.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Goodyear Tire &amp; Rubber Co. (The) sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10 1/2s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>210,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>225,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>225,750</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Transportation (0.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>RailAmerica, Inc. 144A company guaranty sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9 1/4s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,465</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Trico Shipping AS 144A sr. notes 11 7/8s, 2014 (Norway)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>207,819</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>288,284</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Utilities and power (3.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Corp. (The) sr. unsec. notes 8s, 2020</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Corp. (The) sr. unsec. unsub. notes 8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>84,788</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Corp. (The) 144A sec. notes 8 3/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>218,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>222,360</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ameren Corp. sr. unsec. notes 8 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>124,356</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>CMS Energy Corp. sr. notes 8 1/2s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>70,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>72,986</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>97,993</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dynegy-Roseton Danskamme company guaranty Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7.67s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>125,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>117,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7.2s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>85,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>61,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edison Mission Energy sr. unsec. notes 7s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>29,200</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp. sr. unsec. notes Ser. GMTN, 7.8s, 2031</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>93,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp. sr. unsec. notes 12s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Natural Gas Co. debs. 8 5/8s, 2022</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>40,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,791</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Energy Future Holdings Corp. sr. notes 9 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>254,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>246,380</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Energy Future Intermediate Holdings Co., LLC sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. *, 9 3/4s, 2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>311,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>297,783</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Inergy LP/Inergy Finance Corp. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6 7/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>295,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>285,413</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ipalco Enterprises, Inc. sr. sec. notes 8 5/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ipalco Enterprises, Inc. 144A sr. sec. notes 7 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>25,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mirant Americas Generation, Inc. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>8.3s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>170,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>173,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mirant North America, LLC company guaranty 7 3/8s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>235,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>231,475</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NiSource Finance Corp. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 10 3/4s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,432</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. company guaranty 7 3/8s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>99,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. company guaranty 7 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,700</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NRG Energy, Inc. sr. notes 7 3/8s, 2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>730,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>726,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Orion Power Holdings, Inc. sr. unsec. notes 12s, 2010</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>245,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>251,738</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Public Service Co. of New Mexico sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>7.95s, 2018</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>83,739</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sierra Pacific Power Co. general ref. mtge. 6 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>37,328</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sierra Pacific Resources sr. unsec. notes 8 5/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>205,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>211,919</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teco Finance, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes Ser. *, 7.2s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>35,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>36,807</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Teco Finance, Inc. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes Ser. *, 7s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>60,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>64,953</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16,096</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Texas-New Mexico Power Co. 144A 1st mtge. sec. 9 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2019</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>110,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,304</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Utilicorp United, Inc. sr. unsec. notes 7.95s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,247</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>4,267,764</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total corporate bonds and notes (cost $55,497,196)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$55,391,458</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CONVERTIBLE BONDS AND NOTES (34.0%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Basic materials (0.7%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$75,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$90,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ArcelorMittal cv. sr. unsec. unsub. notes 5s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(Luxembourg)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>165,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>246,263</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United States Steel Corp. cv. sr. unsec. notes 4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>375,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>595,781</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>932,794</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Capital goods (2.1%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Alliant Techsystems, Inc. cv. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 3s, 2024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>100,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>123,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>L-1 Identity Solutions, Inc. cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 3/4s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,366,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2036</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>135,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>102,094</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>WESCO International, Inc. cv. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsec. notes 6s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>991,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,179,587</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,771,556</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Communication services (2.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Level 3 Communications, Inc. cv. sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 3 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,700,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,436,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>NII Holdings, Inc. cv. sr. unsec. notes 3 1/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,700,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,536,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,972,875</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Conglomerates (0.5%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Textron, Inc. cv. sr. unsec. notes Ser. TXT, 4 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>370,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>629,148</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>629,148</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer cyclicals (4.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Alliance Data Systems Corp. 144A cv. sr. notes 4 3/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>540,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>792,018</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>BorgWarner, Inc. cv. sr. unsec. notes 3 1/2s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>180,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>213,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Iconix Brand Group, Inc. cv. sr. sub. notes 1 7/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>380,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>331,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>International Game Technology 144A cv. sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>notes 3 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>690,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>845,940</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Live Nation, Inc. cv. sr. unsec. notes 2 7/8s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>440,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sinclair Broadcast Group, Inc. cv. unsec. sub. debs</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>6s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,525,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,261,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sirius Satellite Radio, Inc. cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 1/4s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>578,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>505,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sonic Automotive, Inc. cv. sr. unsec. notes 5s, 2029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,168</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Virgin Media, Inc. 144A cv. sr. unsec. notes 6 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,380,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,604,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>XM Satellite Radio Holdings, Inc. 144A cv. sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 7s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>247,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>187,720</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>6,259,859</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer staples (1.9%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Newell Rubbermaid, Inc. cv. sr. unsec. bonds 5 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>178,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>328,633</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Pantry, Inc. (The) cv. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 3s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,650,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,379,813</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rite Aid Corp. cv. sr. unsec. unsub. notes 8 1/2s, 2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>470,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>447,675</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Spartan Stores, Inc. cv. sr. unsec. notes 3 3/8s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>393,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>311,944</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,468,065</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Energy (2.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Carrizo Oil &amp; Gas, Inc. cv. sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>4 3/8s, 2028</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>735,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>621,075</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>James River Coal Co. 144A cv. sr. unsec. notes 4 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>219,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>213,372</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Patriot Coal Corp. cv. sr. unsec. notes 3 1/4s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>204,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>159,120</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Penn Virginia Corp. cv. sr. unsec. sub. notes 4 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>870,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>795,789</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>St. Mary Land &amp; Exploration Co. cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 1/2s, 2027</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>865,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>836,888</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Transocean, Inc. cv. sr. unsec. unsub. notes Ser. C,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1 1/2s, 2037 (Switzerland)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,120,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,078,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,704,244</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Financials (1.7%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Alexandria Real Estate Equities, Inc. 144A cv. company</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>guaranty sr. unsec. notes 3.7s, 2027 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>558,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Digital Realty Trust LP 144A cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5 1/2s, 2029 (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>545,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>702,020</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>General Growth Properties, Inc. 144A cv. sr. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3.98s, 2027 (In default) (NON)(R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>358,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>KKR Financial Holdings, LLC cv. sr. sec. notes 7s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>697,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>636,013</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>2,254,033</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Health care (5.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Amylin Pharmaceuticals, Inc. cv. sr. unsec. notes 3s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>310,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>239,863</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Biovail Corp. 144A cv. sr. notes 5 3/8s, 2014 (Canada)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>353,820</FONT>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>China Medical Technologies, Inc. cv. sr. unsec. bonds</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. CMT, 4s, 2013 (China)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>260,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>164,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Conmed Corp. cv. sr. sub. notes 2 1/2s, 2024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>259,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>238,928</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hologic, Inc. cv. sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>stepped-coupon 2s (zero %, 12/15/13), 2037 (STP)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,053,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Invitrogen Corp. cv. sr. unsec. unsub. notes Ser. *,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1 1/2s, 2024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>570,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>647,663</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>King Pharmaceuticals, Inc. cv. company guaranty sr.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>unsub. notes 1 1/4s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>780,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>692,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>LifePoint Hospitals, Inc. cv. sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3 1/4s, 2025</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>451,875</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lincare Holdings, Inc. cv. sr. unsec. unsub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2 3/4s, 2037</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>500,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>514,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Omnicare, Inc. cv. company guaranty sr. unsec. debs</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ser. OCR, 3 1/4s, 2035</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,663,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,334,558</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>OSI Pharmaceuticals, Inc. cv. sr. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3s, 2038</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>544,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stewart Enterprises, Inc. cv. sr. unsec. notes 3 3/8s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2016</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>950,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>784,938</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Viropharma, Inc. cv. sr. unsec. notes 2s, 2017</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>700,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>489,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>7,509,020</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Technology (11.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Acquicor Technology, Inc. 144A cv. notes 8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>532,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>422,940</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ADC Telecommunications, Inc. cv. unsec. sub notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.593s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>781,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>611,133</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>900,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>789,750</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Advanced Micro Devices, Inc. cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5 3/4s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,900,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,859,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ARRIS Group, Inc. cv. sr. unsec. notes 2s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,470,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,374,450</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cadence Design Systems, Inc. cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1 1/2s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>700,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>569,625</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Kulicke &amp; Soffa Industries, Inc. cv. unsec. sub. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0 7/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,800,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,525,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Macrovision Corp. cv. sr. unsec. notes 2 5/8s, 2011</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>523,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>623,024</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Maxtor Corp. cv. company guaranty sr. unsec. unsub.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>deb. 2 3/8s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>605,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>644,325</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Mentor Graphics Corp. cv. sub. unsec. notes FRN</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>1.928s, 2023</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,331,400</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>ON Semiconductor Corp. cv. company guaranty sr. unsec.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>sub. notes 2 5/8s, 2026</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,400,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,426,250</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Safeguard Scientifics, Inc. cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2 5/8s, 2024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>200,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>187,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Safeguard Scientifics, Inc. 144A cv. sr. unsec. notes</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2 5/8s, 2024</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,900,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,776,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SanDisk Corp. cv. sr. unsec. unsub. notes 1s, 2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>460,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>359,950</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>SAVVIS, Inc. cv. sr. unsec. notes 3s, 2012</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>477,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>425,126</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>TTM Technologies, Inc. cv. sr. unsec. notes 3 1/4s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2015</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>600,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>564,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>14,490,973</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Transportation (0.2%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>UAL Corp. cv. company guaranty sr. sub. notes 4 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2021</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>300,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>231,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>231,000</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total convertible bonds and notes (cost $38,187,490)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$44,223,567</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>CONVERTIBLE PREFERRED STOCKS (20.4%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Basic materials (2.9%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Freeport-McMoRan Copper &amp; Gold, Inc. $6.75 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,087</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,664,027</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit-Stone Container Corp. Ser. A, $1.75 cum. cv.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pfd. (In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>65,720</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>427,180</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vale Capital, Ltd. Ser. RIO, $2.75 cv. pfd. (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,600</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,308,474</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vale Capital, Ltd. Ser. RIO P, $2.75 cv. pfd. (Brazil)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,890</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>426,691</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,826,372</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Communication services (2.4%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Cincinnati Bell, Inc. Ser. B, $3.378 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>30,900</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,127,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Crown Castle International Corp. $3.125 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>34,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,001,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,128,850</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer cyclicals (2.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ford Motor Co. Capital Trust II $3.25 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>827,775</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Retail Ventures, Inc. $3.312 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,113,125</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Six Flags, Inc. $1.813 cum. cv. pfd. (acquired</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3/16/04, cost $1,526,280) (RES)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>63,200</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>15,800</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Stanley Works (The) 5.125% units cv. ARP</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,882,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,635,082</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,591,782</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Consumer staples (2.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bunge, Ltd. 5.125% cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,740</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,080,209</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Dole Food Automatic Exchange 144A 7.00% cv. pfd. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,672</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>672,381</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Newell Financial Trust I $2.625 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>28,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>993,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Universal Corp. 6.75% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>870</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>899,363</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,645,553</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Energy (0.9%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="69%"></TD>
     <TD width="15%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Chesapeake Energy Corp. $4.50 cum. cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,200</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>700,350</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Edge Petroleum Ser. A, $2.875 cum. cv. pfd. (acquired</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>various dates from 1/25/07 to 4/17/07, cost</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$1,468,168) (RES)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,750</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,388</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Whiting Petroleum Corp. $6.25 cum. cv. pfd</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,900</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>462,913</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,164,651</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Financials (4.9%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Assured Guaranty, Ltd. zero % cv. pfd. (Bermuda)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>562,980</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bank of America Corp. Ser. L, 7.25% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,762</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,502,105</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fannie Mae Ser. 04-1, 5.375% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>16</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>46,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FelCor Lodging Trust, Inc. Ser. A, $0.488 cum. cv.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pfd. (R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,700</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>942,438</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(In default) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>850</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,678</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nationwide Health Properties, Inc. Ser. B, $7.75 cv.</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,435,850</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Wells Fargo &amp; Co. Ser. L, 7.50% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,050</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>936,600</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>XL Capital, Ltd. $2.687 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>896,124</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>6,324,775</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Health care (0.8%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Merck &amp; Co., Inc. 6.00% cum. cv. pfd</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,200</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,065,330</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,065,330</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Media (0.6%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interpublic Group of Companies, Inc. (The) Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>5.25% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,100</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>753,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>753,500</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Utilities and power (2.3%)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Trust III $3.375 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>27,800</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,268,375</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp. 4.99% cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>887,500</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Great Plains Energy, Inc. $6.00 cv. pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13,501</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>847,728</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>3,003,603</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total convertible preferred stocks (cost $33,949,330)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$26,504,416</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>COMMON STOCKS (1.0%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AboveNet, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>108</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$5,540</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AES Corp. (The) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,960</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,970</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Alliance Imaging, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>14,866</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>88,007</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>American Media, Inc. 144A (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,597</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Avis Budget Group, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,210</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>31,298</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Bohai Bay Litigation, LLC (F)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>406</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,267</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>El Paso Corp.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>4,940</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,226</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>FelCor Lodging Trust, Inc. (NON)(R)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>6,885</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,202</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fleetwood Enterprises, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>196,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>686</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Interpublic Group of Companies, Inc. (The) (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8,870</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,147</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Legg Mason, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>12,611</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>356,765</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Louisiana-Pacific Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,090</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,722</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>PetroHawk Energy Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,581</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>80,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Public Service Enterprise Group, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,640</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>82,790</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Qwest Communications International, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>13,125</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>47,906</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Sealy Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>24,780</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>66,410</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Service Corporation International</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,975</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>77,007</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Spectrum Brands, Inc. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9,029</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>198,638</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Talecris Biotherapeutics Holdings Corp. (NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,855</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,531</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vertis Holdings, Inc. (F)(NON)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>7,497</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>8</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Williams Cos., Inc. (The)</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,765</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,996</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total common stocks (cost $1,794,853)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$1,353,117</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>UNITS (0.8%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Units</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Hercules, Inc. cv. jr. unsec. sub. debs. units 6 1/2s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2009</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,540,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$980,980</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total units (cost $1,246,159)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$980,980</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>FOREIGN GOVERNMENT BONDS AND NOTES (0.1%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Argentina (Republic of) sr. unsec. bonds FRB 0.578s,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2013</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$225,000</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$95,625</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total foreign government bonds and notes (cost $86,625)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$95,625</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>PREFERRED STOCKS (--%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GMAC, Inc. 144A Ser. G, 7.00% pfd.</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>96</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$58,083</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total preferred stocks (cost $32,579)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$58,083</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>SENIOR LOANS (--%)(a)(c)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Principal amount</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. B,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2 1/4s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$91,033</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$31,114</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>GateHouse Media, Inc. bank term loan FRN Ser. DD,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2.241s, 2014</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>33,967</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>11,610</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=3>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total senior loans (cost $117,934)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$42,724</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="46%"></TD>
     <TD width="15%"></TD>
     <TD width="11%"></TD>
     <TD width="12%"></TD>
     <TD width="15%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>WARRANTS (--%)(a)(NON)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=2 face=sans-serif>Expiration date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Strike Price</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT size=2 face=sans-serif>Warrants</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>AboveNet, Inc.</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/8/10</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>20</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,660</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>New ASAT (Finance), Ltd. (Cayman Islands) (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>2/1/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>23,400</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Smurfit Kappa Group PLC 144A (Ireland)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/1/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR 0.001</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>119</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,000</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Vertis Holdings, Inc. (F)</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>10/18/15</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>$0.01</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>309</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total warrants (cost $5,252)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$6,662</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>SHORT-TERM INVESTMENTS (0.9%)(a)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Shares</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Putnam Money Market Liquidity Fund (e)</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,208,979</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,208,979</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total short-term investments (cost $1,208,979)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$1,208,979</FONT></B>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>TOTAL INVESTMENTS</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total investments (cost $132,126,397) (b)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$129,865,611</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_13"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="47%"></TD>
     <TD width="16%"></TD>
     <TD width="13%" align=right></TD>
     <TD width="6%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 noWrap align=left><B><FONT size=2 face=sans-serif>FORWARD CURRENCY CONTRACTS TO BUY at 11/30/09 (aggregate face value $179,389) (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Aggregate</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Delivery</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>face value</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$181,820</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$179,389</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12/17/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$2,431</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$2,431</FONT></B>&nbsp;</TD></TR></TABLE><BR>
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<A name="page_14"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="47%"></TD>
     <TD width="16%"></TD>
     <TD width="13%"></TD>
     <TD width="6%"></TD>
     <TD width="8%"></TD>
     <TD width="8%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=5 noWrap align=left><B><FONT size=2 face=sans-serif>FORWARD CURRENCY CONTRACTS TO SELL at 11/30/09 (aggregate face value $1,331,626) (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Aggregate</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Delivery</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Value</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>face value</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>depreciation</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,350,536</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,331,626</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>12/17/09</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(18,910)</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=6>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(18,910)</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_15"></A><BR>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="29%"></TD>
     <TD width="10%"></TD>
     <TD width="10%"></TD>
     <TD width="10%" align=right></TD>
     <TD width="6%"></TD>
     <TD width="11%"></TD>
     <TD width="12%"></TD>
     <TD width="10%"></TD></TR>
<TR vAlign=bottom>
     <TD colSpan=3 noWrap align=left><B><FONT size=2 face=sans-serif>CREDIT DEFAULT CONTRACTS OUTSTANDING at 11/30/09 (Unaudited)</FONT></B>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Upfront</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Fixed payments</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>premium</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Termi-</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>received</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Swap counterparty /</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>received</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Notional</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>nation</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>(paid) by fund</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>Unrealized</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Referenced debt*</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Rating***</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=right><FONT size=2 face=sans-serif>(paid)**</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>amount</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>date</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>per annum</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>appreciation</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Bank of America, N.A.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nalco Co., 7.75%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ba2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$45,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>350 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,416</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Goldman Sachs International</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nalco Co., 7.75%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ba2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>90,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/20/13</FONT>&nbsp;</TD>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=2 face=sans-serif>405 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,915</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Morgan Stanley Capital Services, Inc.</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nalco Co., 7.75%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ba2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>45,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>9/20/12</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>330 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,158</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Nalco Co., 7.75%,</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>11/15/11</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Ba2</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>55,000</FONT>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>3/20/13</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>460 bp</FONT>&nbsp;</TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>3,531</FONT>&nbsp;</TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=8>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$10,020</FONT></B>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><B><I><FONT size=2 face=sans-serif>* Payments related to the referenced debt are made upon a credit default event.</FONT></I></B></P>
<P style="TEXT-ALIGN: left"><B><I><FONT size=2 face=sans-serif>** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution.</FONT></I></B></P>
<P style="TEXT-ALIGN: left"><B><I><FONT size=2 face=sans-serif>*** Ratings are presented for credit default contracts in which the fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard &amp; Poor's or Fitch ratings are believed to be the most recent ratings available at November 30, 2009.</FONT></I></B></P>
<HR align=center SIZE=2 width="100%" noShade>
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<A name="page_16"></A><BR>
<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>Key to holding's currency abbreviations</FONT></I></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="8%"></TD>
     <TD width="92%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>EUR</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Euro</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><FONT size=2 face=sans-serif>USD / $</FONT>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>United States Dollar</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><I><FONT size=2 face=sans-serif>Key to holding's abbreviations</FONT></I></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="8%"></TD>
     <TD width="92%"></TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 0px" noWrap align=left><B><FONT size=2 face=sans-serif>ARP</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Adjustable Rate Preferred Stock</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>FRB</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Bonds</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>FRN</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Floating Rate Notes</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>GMTN</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Global Medium Term Notes</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MTN</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Medium Term Notes</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MTNA</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Medium Term Notes Class A</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MTNH</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Medium Term Notes Class H</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>MTNI</FONT></B>&nbsp;</TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Medium Term Notes Class I</FONT>&nbsp;</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>NOTES</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(a) Percentages indicated are based on net assets of $129,923,117.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(b) The aggregate identified cost on a tax basis is $132,296,727, resulting in gross unrealized appreciation and depreciation of $11,833,075 and $14,264,191, respectively, or net unrealized depreciation of $2,431,116.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(NON) Non-income-producing security.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(STP) The interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest at this rate.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(RES) Restricted, excluding 144A securities, as to public resale. The total market value of restricted securities held at November 30, 2009 was $17,188, or less than 0.1% of net assets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(PIK) Income may be received in cash or additional securities at the discretion of the issuer.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(FWC) Forward commitments, in part or in entirety.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(c) Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at November 30, 2009. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#146;s portion of the loan. 
When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(e) The fund invested in Putnam Money Market Liquidity Fund, an open-end management investment company managed by Putnam Investment Management, LLC ("Putnam Management"), the fund's manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Investments in Putnam Money Market Liquidity Fund are valued at its closing net asset value each business day. Income distributions earned by the fund are recorded as interest income and totaled $575 for the period ended November 30, 2009. During the period ended November 30, 2009, cost of purchases and proceeds of sales of investments in Putnam Money Market Liquidity Fund aggregated $8,085,527 and $9,179,579, respectively. Management fees charged to Putnam Money Market Liquidity Fund have been waived by Putnam Management.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(F) Is valued at fair value following procedures approved by the Trustees. Securities may be classified as a Level 2 or </FONT><FONT size=2 face=sans-serif>Level 3 for Accounting Standards Codification ASC 820 Fair Value Measurements and Disclosures ("ASC 820") based on the securities valuation inputs.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>(R) Real Estate Investment Trust.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At November 30, 2009, liquid assets totaling $375,767 have been segregated to cover certain derivatives contracts.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Debt obligations are considered secured unless otherwise indicated.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>144A after the name of an issuer represents securities exempt from registration under Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The rates shown on ARP, FRB, and FRN are the current interest rates at November 30, 2009.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The dates shown on debt obligations are the original maturity dates.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Security valuation: </FONT></B><FONT size=2 face=sans-serif>Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets. If no sales are reported-- as in the case of some securities traded over-the-counter-- a security is valued at its last reported bid price. Market quotations are not considered to be readily available for certain debt obligations; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which considers such factors as security prices, yie
lds, maturities and ratings) . Many securities markets and exchanges outside the U.S. close prior to the close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value foreign equity securities taking into account multiple factors, including movements in the U.S. securities markets. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate. To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security's fair value, the security will be valued at fair va
lue by Putnam Management. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. Such valuations and procedures are reviewed periodically by the Trustees. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Forward currency contracts: </FONT></B><FONT size=2 face=sans-serif>The fund may buy and sell forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which its portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities a fund intends to buy are denominated, when a fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as an unrealized gain or loss. When the contract is closed
, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Outstanding contracts on Forward currency contracts at the period ended November 30, 2009 are indicative of the volume of activity during the period.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Credit default contracts: </FONT></B><FONT size=2 face=sans-serif>The fund may enter into credit default contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An upfront payment received by the fund, as the protection seller, is recorded as a liability on the fund&#146;s books. An upfront payment made 
by the fund, as the protection buyer, is recorded as an asset on the fund&#146;s books. Periodic payments received or paid by the fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting credit default contracts which would mitigate its risk of loss. The fund&#146;s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the fund and the counterparty. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount of the relevant credit default contract. The fund
 had an average notional amount of approximately $300,000 on Credit default swap contracts for the period ended November 30, 2009.</FONT></P>
<P style="TEXT-ALIGN: left"><B><FONT size=2 face=sans-serif>Master agreements: </FONT></B><FONT size=2 face=sans-serif>The fund is a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (&#147;Master Agreements&#148;) with certain counterparties that govern over the counter derivative and foreign exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties&#146; general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund&#146;s custodian and with respect to those amounts which can be sold or repledged, are presented in the fund&#146;s portfolio. Collateral pledged by the fund is segregated by the fund&#146;s custodian and identified in the fund&#146;s portfolio. Collateral can 
be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund&#146;s net position with each counterparty. Termination events applicable to the fund may occur upon a decline in the fund&#146;s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty&#146;s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>determined by the terminating party. Any decision by one or more of the fund&#146;s counterparties to elect early termination could impact the fund's future derivative activity.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>At November 30, 2009, the fund had a net liability position of $14,296 on derivative contracts subject to the Master Agreements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>On September 15, 2008, the fund terminated its outstanding derivatives contracts with Lehman Brothers Special Financing, Inc. (&#147;LBSF&#148;) in connection with the bankruptcy filing of LBSF&#146;s parent company, Lehman Brothers Holdings, Inc. On September 26, 2008, the fund entered into a receivable purchase agreement (&#147;Agreement&#148;) with another registered investment company (the &#147;Seller&#148;) managed by Putnam Management. Under the Agreement, the Seller sold to the fund the right to receive, in the aggregate, $10,185 in net payments from LBSF in connection with certain terminated derivatives transactions (the &#147;Receivable&#148;), in exchange for an initial payment plus (or minus) additional amounts based on the fund&#146;s ultimate realized gain (or loss) with respect to the Receivable. The Receivable will be offset against the fund&#146;s net payable to LBSF. Future payments under the Agreement are valued at fair value followi
ng procedures approved by the Trustees. All remaining payments under the Agreement will be recorded as realized gain or loss. The fund&#146;s net payable to LBSF was calculated in accordance with the fund&#146;s master contract with LBSF. The fund has accrued interest on the net payable. Putnam Management currently is in discussions with LBSF regarding resolution of amounts payable to LBSF. Amounts recorded are estimates and final payments may differ from these estimates by a material amount.</FONT></P>
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<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>In September 2006, ASC 820 was issued. ASC 820 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. While the adoption of ASC 820 does not have a material effect on the fund&#146;s net asset value, it does require additional disclosures about fair value measurements. ASC 820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of the fund&#146;s investments. The three levels are defined as follows:</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Level 1 &#150; Valuations based on quoted prices for identical securities in active markets.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Level 2 &#150; Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Level 3 &#150; Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The following is a summary of the inputs used to value the fund&#146;s net assets as of November 30, 2009:</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD>
     <TD width="20%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Valuation inputs</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investments in securities:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 1</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 2</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 3</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Common stocks:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Basic materials</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$56,722</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Communication services</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>53,446</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Consumer cyclicals</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>56,833</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>9</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Consumer staples</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>373,353</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Energy</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>134,996</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,267</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Financials</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>379,967</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Health care</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>141,538</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Utilities and power</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>154,986</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total common stocks</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,351,841</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>--</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>1,276</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Convertible bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>44,223,567</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Convertible preferred stocks</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>26,504,416</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Corporate bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>54,526,145</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>865,313</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Foreign government bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>95,625</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Preferred stocks</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>58,083</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Senior loans</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>42,724</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Units</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>980,980</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Warrants</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,660</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,000</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Short-term investments</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,208,979</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>--</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Totals by level</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$2,562,480</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$126,436,540</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$866,591</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR>
     <TD colSpan=5><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 1</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 2</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Level 3</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Other financial instruments:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$--</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(6,459)</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(2,341)</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=5>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>Other financial instruments include swaps, forward currency contracts and receivable purchase agreements.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>The following is a reconciliation of Level 3 assets as of November 30, 2009:</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD>
     <TD width="11%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Investments in securities:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Change in net</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Net</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Balance as of</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Accrued</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>unrealized</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=center><B><FONT size=2 face=sans-serif>Net</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>transfers in</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Balance as of</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>August</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>discounts/</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Realized</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>appreciation/</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>purchases/</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>and/or out</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>November</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR height=20>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>31, 2009</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>premiums</FONT></B></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>gain/(loss</FONT><FONT size=2>)</FONT></B></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>(depreciation) &#134;</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>sales</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>of Level 3</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>30, 2009</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Common stocks:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
<FONT size=2></FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Conglomerates</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,267</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$(1,267)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$-</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Consumer cyclicals</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$9</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$9</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Energy</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>1,267</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1,267</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Health care</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$1</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(1)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$-</FONT><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total common stocks</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$1,277</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>-</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>-</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>(1)</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>-</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>-</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$1,276</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Corporate bonds and notes</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$865,200</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>5,321</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>(5,321)</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>113</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$865,313</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Warrants</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$2</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>-</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$2</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Totals:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$866,479</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$5,321</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$-</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(5,322)</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$-</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$113</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$866,591</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=9>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#134; Includes $(5,321) related to Level 3 securities still held at period end.</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD>
     <TD width="12%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Change in net</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Net</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Balance as of</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Accrued</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>unrealized</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Net</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>transfers in</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Balance as of</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>August</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>discounts/</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Realized</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>appreciation/</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>purchases/</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>and/or out</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>November</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>31, 2009 &#134;&#134;</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>premiums</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>gain/(loss)</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>(depreciation) &#134;</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>sales</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>of Level 3</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>30, 2009 &#134;&#134;</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Other financial instruments:</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(2,544)</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$--</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$--</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$203</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$--</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$--</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$(2,341)</FONT></B><FONT size=2>&nbsp;</FONT></TD></TR>
<TR>
     <TD colSpan=8>
<HR SIZE=1 noShade>
</TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>&#134; Includes $203 related to Level 3 securities still held at period end.</FONT></P>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif><FONT size=2 face=sans-serif>&#134;</FONT><FONT size=2 face=sans-serif>&#134; </FONT>Includes amount payable under receivable purchase agreement.</FONT></P>
<TABLE border=0 cellSpacing=0 width="80%">
<TR>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD>
     <TD width="16%"></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Market Values of Derivative Instruments as of November 30, 2009</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=left></TD>
     <TD noWrap align=left></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Asset derivatives</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Liability derivatives</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD><FONT size=2>&nbsp;</FONT></TD>
     <TD></TD>
     <TD colSpan=2>
<HR SIZE=1 noShade>
</TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Derivatives not accounted for as hedging instruments under ASC 815</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Market value</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>Market value</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
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</TD>
     <TD></TD>
     <TD></TD></TR>
<TR>
     <TD colSpan=4><FONT size=2>&nbsp;</FONT></TD>
     <TD></TD>
     <TD></TD></TR>
<TR>
     <TD colSpan=4><FONT size=2>&nbsp;</FONT></TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Credit contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$10,020</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>$--</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
<TR>
     <TD colSpan=4>
<HR SIZE=1 noShade>
</TD>
     <TD></TD>
     <TD></TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=left><FONT size=2 face=sans-serif>Foreign exchange contracts</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>2,431</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><FONT size=2 face=sans-serif>18,910</FONT><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right></TD></TR>
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</TD>
     <TD></TD>
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<TR vAlign=bottom>
     <TD noWrap align=left><B><FONT size=2 face=sans-serif>Total</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$12,451</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right><B><FONT size=2 face=sans-serif>$18,910</FONT></B><FONT size=2>&nbsp;</FONT></TD>
     <TD noWrap align=right></TD>
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</TD>
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     <TD></TD></TR></TABLE><BR>
<P style="TEXT-ALIGN: left"><FONT size=2 face=sans-serif>For additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnaminvestments.com</FONT></P>
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<P style="text-align: left;"> <U><FONT size=2 face="sans-serif">Item 2. Controls and Procedures:</FONT></U></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">(a) The registrant's principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission's rules and forms.</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">(b) Changes in internal control over financial reporting: Not applicable</FONT></P>
<P style="text-align: left;"> <U><FONT size=2 face="sans-serif">Item 3. Exhibits:</FONT></U></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">Separate certifications for the principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are filed herewith.</FONT></P>
<P style="text-align: left;"> <U><FONT size=2 face="sans-serif">SIGNATURES</FONT></U></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>
<P style="text-align: left;"> <U><FONT size=2 face="sans-serif">Putnam High Income Securities Fund</FONT></U><BR>
<BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/ Janet C. Smith</FONT></U><BR>
<FONT size=2 face="sans-serif">Janet C. Smith</FONT><BR>
<FONT size=2 face="sans-serif">Principal Accounting Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: January 28, 2010</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/ Jonathan S. Horwitz</FONT></U><BR>
<FONT size=2 face="sans-serif">Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: January 28, 2010</FONT><BR>
<BR>
<FONT size=2 face="sans-serif">By (Signature and Title):</FONT><BR>
<BR>
<U><FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT></U><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT><BR>
<FONT size=2 face="sans-serif">Date: January 28, 2010</FONT></P>
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<P style="text-align: left;"> <U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">I, Jonathan S. Horwitz, the Principal Executive Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent functions):</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant&#146;s ability to record, process, summarize, and report financial information; and</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting.</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">/s/ Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face="sans-serif">_____________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: January 27, 2010</FONT><BR>
<FONT size=2 face="sans-serif">Jonathan S. Horwitz</FONT><BR>
<FONT size=2 face="sans-serif">Principal Executive Officer</FONT></P>
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<P style="text-align: left;"> <U><FONT size=2 face="sans-serif">Certifications</FONT></U></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">I, Steven D. Krichmar, the Principal Financial Officer of the funds listed on Attachment A, certify that:</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">1. I have reviewed each report on Form N-Q of the funds listed on Attachment A:</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">2. Based on my knowledge, each report does not contain any untrue statements of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by each report;</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">3. Based on my knowledge, the schedules of investments included in each report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed;</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrants and have:</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which each report is being prepared;</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">c) evaluated the effectiveness of the registrant&#146;s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">d) disclosed in this report any change in the registrant&#146;s internal control over financial reporting that occurred during the registrant&#146;s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant&#146;s internal control over financial reporting; and</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">5. The registrant&#146;s other certifying officer and I have disclosed to each registrant&#146;s auditors and the audit committee of each registrant&#146;s board of directors (or persons performing the equivalent functions):</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect each registrant&#146;s ability to record, process, summarize, and report financial information; and</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">b) any fraud, whether or not material, that involves management or other employees who have a significant role in each registrant&#146;s internal control over financial reporting.</FONT></P>
<P style="text-align: left;"> <FONT size=2 face="sans-serif">/s/ Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">_______________________________</FONT><BR>
<FONT size=2 face="sans-serif">Date: January 27, 2010</FONT><BR>
<FONT size=2 face="sans-serif">Steven D. Krichmar</FONT><BR>
<FONT size=2 face="sans-serif">Principal Financial Officer</FONT></P>
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     <TD noWrap align=center><FONT size=2 face=sans-serif>Attachment A</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD noWrap align=center><FONT size=2 face=sans-serif>NQ</FONT>&nbsp;</TD>
     <TD noWrap align=right>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD style="TEXT-INDENT: 0px" noWrap align=center><FONT size=2 face=sans-serif>Period (s) ended November 30, 2009</FONT>&nbsp;</TD>
     <TD noWrap align=left>&nbsp;</TD></TR>
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<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Health Care Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam High Yield Trust</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam International Capital Opportunities Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam High Income Securities Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Natural Resources Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Floating Rate Income Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Income Strategies Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Small Cap Value Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Consumer Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Energy Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Financials Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Industrials Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Technology Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Telecommunications Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Emerging Markets Equity Fund</FONT>&nbsp;</TD></TR>
<TR vAlign=bottom>
     <TD width="100%" colSpan=2 noWrap align=left><FONT size=2 face=sans-serif>Putnam Global Utilities Fund</FONT>&nbsp;</TD></TR></TABLE><BR>
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